C63 - Computational Techniques; Simulation Modeling
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Assessing the Resilience of the Canadian Banking System
The stability of the Canadian financial system, as well as its ability to support the Canadian economy, depends on the ability of financial institutions to absorb and manage major shocks. This is especially true for large banks, which perform services essential to the Canadian economy. -
Firm-level Investment Under Imperfect Capital Markets in Ukraine
This paper develops and estimates a model of firm-level fixed capital investment when firms face borrowing constraints. -
Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data
In complex and interconnected banking systems, counterparty risk does not depend only on the risk of the immediate counterparty but also on the risk of others in the network of exposures. -
Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models?
How wrong could policymakers be when using linearized solutions to their macroeconomic models instead of nonlinear global solutions? -
Household Risk Assessment Model
Household debt can be an important source of vulnerability to the financial system. This technical report describes the Household Risk Assessment Model (HRAM) that has been developed at the Bank of Canada to stress test household balance sheets at the individual level. -
The Impact of Macroprudential Housing Finance Tools in Canada: 2005–10
This paper combines loan-level administrative data with household-level survey data to analyze the impact of recent macroprudential policy changes in Canada using a microsimulation model of mortgage demand of first-time homebuyers. -
Are Counterparty Arrangements in Reinsurance a Threat to Financial Stability?
Interconnectedness among insurers and reinsurers at a global level is not well understood and may pose a significant risk to the sector, with implications for the macroeconomy. Models of the complex interactions among reinsurers and with other participants in the financial system and the real economy are at a very early stage of development. -
Filling in the Blanks: Network Structure and Interbank Contagion
The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures. -
June 12, 2014
Stress Testing the Canadian Banking System: A System-Wide Approach
Stress testing is an important tool used by financial authorities and entities around the world to evaluate potential risks to the financial system. Kartik Anand, Guillaume Bédard-Pagé and Virginie Traclet discuss different stress-testing approaches, with emphasis on the innovative and analytically rigorous model developed by the Bank of Canada: the MacroFinancial Risk Assessment Framework (MFRAF). They also present the stress-test results obtained in the context of the 2013 Canada Financial Sector Assessment Program led by the International Monetary Fund, including the important contributions made by the use of MFRAF in the exercise. -
August 15, 2013
Big Data Analysis: The Next Frontier
The formulation of monetary policy at the Bank of Canada relies on the analysis of a broad set of economic information. Greater availability of immediate and detailed information would improve real-time economic decision making. Technological advances have provided an opportunity to exploit “big data” - the vast amount of digital data from business transactions, social media and networked computers. Big data can be a complement to traditional information sources, offering fresh insight for the monitoring of economic activity and inflation.